About

I. Introduction

The Federal Reserve Board’s Statistical Release H.4.1,"Factors Affecting Reserve Balances of Depository Institutions and Condition Statement of Federal Reserve Banks," is a weekly publication that presents a balance sheet for each Federal Reserve Bank, a consolidated balance sheet for all 12 Reserve Banks, an associated statement that lists the factors affecting reserve balances of depository institutions, and several other tables presenting information on the assets, liabilities, and commitments of the Federal Reserve Banks.

The Federal Reserve operates with a sizable balance sheet that includes a large number of distinct assets and liabilities. The Federal Reserve’s balance sheet contains a great deal of information about the scale and scope of its operations. For decades, market participants have closely studied the evolution of the Federal Reserve’s balance sheet to understand more clearly important details concerning the implementation of monetary policy. Over recent years, the development and implementation of several new lending facilities to address the financial crisis have increased the complexity of the Federal Reserve’s balance sheet, and the presentation on the H.4.1 release has evolved to reflect these developments. In an effort to enhance the public’s understanding of the balance sheet, the Board of Governors of the Federal Reserve System (the Board) maintains an interactive user guide of each table on the H.4.1 release on its "Credit and Liquidity Programs and the Balance Sheet" webpage, which provides an explanation of line items in each table.

The remainder of this document includes more details about the H.4.1 release, a description of the various data sources, and other information called for by Statistical Policy Directive No. 3, section 8, Performance Evaluation.

During the financial crisis that emerged during the summer of 2007, the Federal Reserve implemented several programs designed to support the liquidity of financial institutions and foster improved conditions in financial markets, and it also extended credit to certain specific institutions and committed to extend credit to support systemically important financial firms. In order to promote a better understanding of these new facilities, the H.4.1 release underwent a number of modifications, as noted in the June 2009 performance evaluation. Since the June 2009 review, financial conditions have improved and the need for broad-based facilities dissipated, and most were closed in 2010. As facilities are closed and outstanding balances associated with a facility fall to zero, the H.4.1 release is modified to remove associated line items and tables. However, historical data related to closed facilities are available in perpetuity through the Data Download Program, available at www.federalreserve.gov/datadownload.

As of the June 28, 2012, release, the H.4.1 release contained 10 tables. Table 1 presents details on the factors that supply and absorb reserve balances, as well as the level of reserve balances--that is, funds that depository institutions hold on deposit at the Federal Reserve to satisfy reserve requirements and funds held in excess of requirements. Table 1 is not a balance sheet, but it is derived primarily from components of the Federal Reserve’s balance sheet. In addition, certain items from the Treasury Department’s balance sheet that affect the supply of reserve balances are included.

Table 1A summarizes off-balance-sheet items.2 Table 2 summarizes the maturity distribution of key Federal Reserve assets, consistent with the provisions of Section 11(a)(1) of the Federal Reserve Act to provide information on the maturities of investments held by Federal Reserve Banks. Table 3 provides supplemental information on the mortgage-backed securities purchase program. Tables 4 through 7 provide information on principal accounts of limited liability companies (LLCs) established as part of the Federal Reserve’s liquidity provision programs that have been consolidated onto the books of the Federal Reserve Bank of New York (FRBNY): Maiden Lane LLC, Maiden Lane II LLC, Maiden Lane III LLC, and TALF LLC. Under the structure of these LLCs, the FRBNY is the primary beneficiary of the LLCs. Consistent with generally accepted accounting principles, the assets and liabilities of these LLCs are consolidated with the assets and liabilities of the FRBNY, and with this consolidation, the extensions of credit from the FRBNY to these LLCs are eliminated from the balance sheet. Tables 8 and 9 present the consolidated and individual balance sheets of the 12 Federal Reserve Banks as of the close of business each Wednesday. Table 10 provides information on collateral held against Federal Reserve notes. Each Reserve Bank must maintain collateral against Federal Reserve notes in circulation, which include those held by the public, by depository institutions, and by the Treasury but exclude those Federal Reserve notes held by Federal Reserve Banks (section 16 of the Federal Reserve Act).

III. Sources and Methodology

The H.4.1 release is constructed primarily from the balance sheets of the Federal Reserve Banks. Each Reserve Bank compiles a balance sheet as of the close of business each day, ensures that the data satisfy validity and quality checks, and transmits the data to the Board on the next business day. The consolidated balance sheet for the Federal Reserve Banks is constructed at the Board after members of the staff conduct additional validity and quality checks on the balance sheet data of the individual Reserve Banks.

Supplementary data from the Reserve Banks and the Treasury provide additional detail on assets, liabilities, and commitments of the Reserve Banks; figures for off-balance-sheet items; and information on the Treasury’s monetary accounts. Disaggregated data on the System’s outright holdings of Treasury and federal agency securities and temporary securities holdings in the form of repurchase and reverse repurchase agreements are received from the FRBNY each day. The FRBNY also provides reports on securities that are held in custody by the Federal Reserve Banks for foreign official and international accounts, securities loaned to dealers, the maturity distribution of loans and securities in the System portfolio, and commitments for the purchase and sale of mortgage-backed securities. Data used to construct the factors affecting reserve balances, such as float-related as-of adjustments, non-float-related as-of adjustments, adjustments to compensate for float, and required clearing balances, are transmitted daily from each Reserve Bank to the Board, where they, too, are edited for accuracy and then aggregated.3

The Treasury reports data on its holdings of currency each week; information regarding other Treasury monetary accounts is communicated to the Board’s staff monthly, typically within a week or two of the end of the previous month. Aside from the Treasury cash holdings reported weekly, the monetary account items used in the construction of the H.4.1 release are the book value of the monetary gold stock, and silver dollars, coin, and paper Treasury currency outstanding. These Treasury items are estimated on the H.4.1 release until the receipt of the actual data. The estimates are constructed by carrying forward the last reported value for the monetary gold stock, Treasury paper currency, and dollar coins; for smaller-denomination coins, an estimated increase based on historical trends is reported. These methods are reasonably accurate because the Treasury’s monetary accounts are not generally volatile from week to week. At a practical level, estimation of these quantities is of minimal concern because movements in the Treasury’s monetary accounts do not affect total reserve balances.

IV. The H.4.1 Release Performance Metrics

The following discussion evaluates H.4.1 performance based on four basic metrics--effectiveness of data processing and timely publication, avoidance of premature disclosures, accuracy and reliability of data, and availability of historical information.

A. Processing and Publication Schedule

As mentioned earlier, close-of-business balance sheet data are transmitted by each Federal Reserve Bank on the next business day. The data are checked for accuracy and consolidated across Reserve Banks by the Board’s staff, a process that typically concludes around 2:30 p.m. eastern time. On Thursdays, after processing of the close-of-business data for Wednesday, the H.4.1 release is prepared. Release to the public, in both electronic and paper formats, is scheduled for 4:30 p.m. each Thursday, except on holidays or other days when the federal government is closed, in which case the data are released on the following business day. The H.4.1 release was delayed between 15 minutes and 2 hours, 15 minutes, on eight occasions over the evaluation period.

Public access to the release is available through the Board’s website, www.federalreserve.gov/releases/H41. Members of the public may obtain a paper copy of the release by mail. Since the release became available through the Board’s website, the number of paper copies of the release mailed has dropped: As of June 2012, 25 copies of the H.4.1 release were mailed each week to libraries, universities, businesses, and individuals. The public can also obtain the H.4.1 data from secondary sources, including newspapers and other private publications, electronic data systems (such as Bloomberg), and databases maintained by private firms.

B. Avoidance of Premature Disclosure

Prior to publication of the H.4.1 release each week, access to the data for all Reserve Banks is limited to staff at the Board and the FRBNY who are responsible for any of the following tasks: (a) receiving data transmissions from the Reserve Banks; (b) reviewing the data for quality and completeness; (c) preparing and reviewing the H.4.1 release prior to its release; and (d) providing analysis to senior Federal Reserve staff responsible for daily implementation of monetary policy operations.

The Federal Reserve Board provides the H.4.1 data to credentialed news services approximately 30 minutes in advance of the 4:30 p.m. eastern public release time. The Board has procedures to remediate situations in which a news organization prematurely discloses H.4.1 data prior to the public release time, including revoking an organization’s access to embargoed H.4.1 data.

C. Accuracy and Reliability

The data on the H.4.1 release typically are subject to very little revision from either underlying data or errors. Changes in the underlying data can occur because of the application of as-of adjustments to prior weeks or the substitution of actual data for previously estimated data, most notably data on the Treasury’s monetary accounts. When Treasury figures become available, their inclusion generally results in small revisions to H.4.1 items calculated from these data. In the extremely rare event that technical problems prevent a Reserve Bank from transmitting balance sheet information to the Board, missing data are estimated by the Board’s staff for publication purposes, and any subsequent revisions are incorporated into the following week’s release. It was not necessary to estimate any Federal Reserve Bank data during the three-year period covered by this review.

D. Overall Performance

The Federal Reserve devotes a great deal of time and attention to the publication of the H.4.1 statistical release. Processes and procedures are continually reviewed to improve efficiency and accuracy. Based on the metrics discussed, the Board has maintained a high level of performance in the publication of the H.4.1 statistical release.

V. Dissemination of Revised and Historical Data

On August 4, 2009, historical data from December 18, 2002, to the present became available through the interactive Data Download Program, available at www.federalreserve.gov/datadownload. The Data Download Program provides interactive access to Federal Reserve statistical data in a variety of formats.

Footnotes

The text of section 11(a)(1) is as follows: "To examine at its discretion the accounts, books, and affairs of each Federal reserve bank and of each member bank and to require such statements and reports as it may deem necessary. The said board shall publish once each week a statement showing the condition of each Federal reserve bank and a consolidated statement for all Federal reserve banks. Such statements shall show in detail the assets and liabilities of the Federal reserve banks, single and combined, and shall furnish full information regarding the character of the money held as reserve and the amount, nature, and maturities of the paper and other investments owned or held by Federal reserve banks." Return to text

Prior to July 3, 2008, these items were reported as part of table 1. Return to text

As-of adjustments are balance sheet memorandum items used by Reserve Banks to adjust reserve positions of depository institutions to correct for the cumulative effect of errors affecting a depository institution’s account balance at its Reserve Bank, to pay for float created by the institution, or to correct for the effects of deposit reporting errors. Return to text